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Efficient detection of random coefficients in autoregressive models

Author

Listed:
  • Abdelhadi Akharif
  • Marc Hallin
Abstract
No abstract is available for this item.

Suggested Citation

  • Abdelhadi Akharif & Marc Hallin, 2003. "Efficient detection of random coefficients in autoregressive models," ULB Institutional Repository 2013/127956, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/127956
    Note: SCOPUS: ar.j
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    Citations

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    Cited by:

    1. Chi Yao & Wei Yu & Xuejun Wang, 2023. "Strong Consistency for the Conditional Self-weighted M Estimator of GRCA(p) Models," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-21, March.
    2. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Tests for Random Coefficient Variation in Vector Autoregressive Models," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 1-35, Emerald Group Publishing Limited.
    3. Trapani, Lorenzo, 2021. "A test for strict stationarity in a random coefficient autoregressive model of order 1," Statistics & Probability Letters, Elsevier, vol. 177(C).
    4. Lu, Zeng-Hua, 2013. "Halfline tests for multivariate one-sided alternatives," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 479-490.
    5. Nezar Bennala & Marc Hallin & Davy Paindaveine, 2010. "Rank‐based Optimal Tests for Random Effects in Panel Data," Working Papers ECARES ECARES 2010-018, ULB -- Universite Libre de Bruxelles.
    6. Daisuke Nagakura, 2007. "Testing for Coefficient Stability of AR(1) Model When the Null is an Integrated or a Stationary Process," IMES Discussion Paper Series 07-E-20, Institute for Monetary and Economic Studies, Bank of Japan.
    7. Nabil Azouagh & Said El Melhaoui, 2021. "Detection of EXPAR nonlinearity in the Presence of a Nuisance Unidentified Under the Null Hypothesis," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 397-429, November.
    8. Bennala, Nezar & Hallin, Marc & Paindaveine, Davy, 2012. "Pseudo-Gaussian and rank-based optimal tests for random individual effects in large n small T panels," Journal of Econometrics, Elsevier, vol. 170(1), pages 50-67.
    9. Oumaima Essefiani & Rachid El Halimi & Said Hamdoune, 2024. "Some Estimation Methods for a Random Coefficient in the Gegenbauer Autoregressive Moving-Average Model," Mathematics, MDPI, vol. 12(11), pages 1-16, May.
    10. Dong Jin Lee, 2016. "Parametric and Semi-Parametric Efficient Tests for Parameter Instability," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(4), pages 451-475, July.
    11. Marc Hallin & Ramon van den Akker & Bas Werker, 2013. "On Quadratic Expansions of Log-Likelihoods and a General Asymptotic Linearity Result," Working Papers ECARES ECARES 2013-34, ULB -- Universite Libre de Bruxelles.
    12. Christian Francq & Jean-Michel Zakoïan, 2006. "Inference in GARCH when some coefficients are equal to zero," Computing in Economics and Finance 2006 64, Society for Computational Economics.
    13. Abdelhadi Akharif & Mohamed Fihri & Marc Hallin & Amal Mellouk, 2018. "Optimal Pseudo-Gaussian and Rank-Based Random Coefficient Detection in Multiple Regression," Working Papers ECARES 2018-39, ULB -- Universite Libre de Bruxelles.
    14. Francq, Christian & Zakoïan, Jean-Michel, 2009. "Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 313-324.
    15. Horváth, Lajos & Trapani, Lorenzo, 2019. "Testing for randomness in a random coefficient autoregression model," Journal of Econometrics, Elsevier, vol. 209(2), pages 338-352.

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